CME Options History — May 2016

In May 2016, CME traded between $92.42 and $98.59. ATM implied volatility averaged 18.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.9% (HV 20d: 17.2%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2016-05-02: Highest Volume — 8,558 contracts
  • 2016-05-19: Largest IV spike — 7.1% change
  • 2016-05-19: Highest IV Rank — 20.4%
  • 2016-05-19: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.34$92.42$98.59$93.62$98.01
Max Pain$91.45$90.00$93.00$92.50$92.50
ATM IV18.1%16.7%19.6%18.5%17.3%
Expected Move5.2%4.5%5.6%5.3%4.9%
HV 20d17.2%13.7%22.4%22.4%13.7%
HV 60d17.8%16.8%21.2%21.2%16.8%
IV Rank11.9%4.2%20.4%14.3%7.6%
IV Percentile16.1%0.8%26.2%21.4%7.5%
Term Structure0.3%-0.4%0.9%0.5%-0.2%
VWIV18.9%17.6%21.0%18.9%17.6%
Skew 25d3.7%2.9%4.9%4.3%3.6%
Skew 10d9.3%5.4%13.6%8.1%6.7%
Call IV 25d16.6%15.2%17.7%16.8%16.0%
Put IV 25d20.3%18.4%21.5%21.1%19.6%
Bid-Ask Spread %27.4618.5946.6724.2626.67
Gamma HHI0.130.090.200.090.14
Net GEX5.7M2.0M9.1M2.0M5.4M
Net DEX-41.4M-73.4M-8.2M-17.6M-58.7M
Net VEX-524.8K-604.8K-467.5K-467.5K-584.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.541.190.570.88
Total Volume6,508.4295,2198,5588,5585,219
Total OI44,069.23840,28148,10740,28143,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$93.62$92.5018.5%5.3%22.4%14.3%18.9%4.3%0.5%2.0M-17.6M-467.5K0.5724.26N/AN/A5,4683,09021,83718,444
2016-05-03$92.91$92.5018.2%5.3%21.0%12.6%17.7%4.4%0.6%4.6M-14.7M-484.2K0.6828.70N/AN/A3,8282,60724,50519,160
2016-05-04$92.42$93.0018.7%5.5%21.1%15.2%18.2%3.9%0.7%4.6M-8.2M-486.8K0.7027.17N/AN/A3,8382,70124,70219,433
2016-05-05$92.87$90.0018.3%5.6%19.3%12.9%21.0%3.6%0.8%6.7M-14.6M-483.3K0.7422.61N/AN/A3,5702,63125,11119,674
2016-05-06$92.78$90.0018.3%5.5%14.9%13.0%19.6%3.6%0.4%8.2M-14.1M-473.3K0.8224.59N/AN/A2,8952,38225,47019,751
2016-05-09$94.02$90.0018.5%5.2%15.4%14.3%20.7%3.9%-0.4%2.9M-23.7M-471.4K0.6521.54N/AN/A3,2742,14022,71019,068
2016-05-10$94.75$90.0018.2%5.2%15.5%12.6%19.2%4.2%0.1%5.8M-42.1M-474.2K0.5721.67N/AN/A3,8442,20223,88019,184
2016-05-11$93.70$90.0018.3%5.4%16.2%13.1%20.1%3.2%0.8%5.2M-26.3M-474.3K0.8223.02N/AN/A3,4542,83824,35419,292
2016-05-12$95.16$90.0017.6%5.1%16.8%9.0%18.4%4.1%0.4%6.7M-50.8M-489.9K0.6320.38N/AN/A4,2712,68324,55120,000
2016-05-13$94.39$90.0018.2%5.1%17.2%12.5%19.4%4.3%-0.4%5.8M-39.8M-502.5K0.8225.27N/AN/A3,7683,10125,15920,318
2016-05-16$95.02$90.0018.5%5.3%17.2%14.1%19.5%4.0%0.0%4.6M-40.2M-510.5K0.8622.66N/AN/A3,3172,86824,05620,250
2016-05-17$95.23$90.0018.6%5.3%16.9%14.9%19.9%4.9%-0.1%4.7M-40.0M-519.9K0.7830.31N/AN/A3,2522,53724,34220,672
2016-05-18$96.60$92.5018.3%5.2%17.4%13.0%18.8%3.2%0.9%7.0M-62.7M-524.9K0.5423.92N/AN/A4,8722,61024,30920,619
2016-05-19$95.82$92.5019.6%5.6%17.7%20.4%19.3%4.3%-0.3%7.8M-55.8M-546.8K0.7022.28N/AN/A4,3753,04725,73321,279
2016-05-20$96.40$92.5018.3%5.2%17.3%13.0%18.6%3.1%0.1%6.2M-60.4M-560.6K0.7118.59N/AN/A4,9153,51225,91222,195
2016-05-23$96.62$92.5018.3%5.1%17.1%13.2%18.8%2.9%0.3%4.8M-46.2M-578.4K1.1946.67N/AN/A2,9213,47322,35618,883
2016-05-24$98.00$92.5017.6%5.0%17.6%9.1%17.8%3.7%0.5%5.4M-61.1M-583.7K0.7342.01N/AN/A4,2313,07722,57519,474
2016-05-25$97.75$92.5017.1%4.8%17.6%6.1%17.7%3.2%0.2%5.7M-60.3M-600.1K0.7435.69N/AN/A3,5362,62123,21520,052
2016-05-26$97.49$92.5016.8%4.7%14.3%4.7%18.2%3.1%-0.3%6.5M-58.4M-599.4K0.8735.18N/AN/A3,1272,71724,10520,128
2016-05-27$98.59$92.5016.7%4.5%14.5%4.2%17.8%3.2%0.7%9.1M-73.4M-604.8K0.8633.57N/AN/A3,1462,71924,25220,614
2016-05-31$98.01$92.5017.3%4.9%13.7%7.6%17.6%3.6%-0.2%5.4M-58.7M-584.8K0.8826.67N/AN/A2,7752,44423,57820,252